TEMPLATE BASED MATCHING

• US 20080086405A1
• Filed: 12/29/2006
• Published: 04/10/2008
• Est. Priority Date: 09/22/2006
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Liberman, Stanislav, Farrell, James W., Sundaram, Seshadri, Kenniston, Michael S.
• Granted Patent: US 7,805,360 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

Systems and methods for matching orders are provided. One or more trade templates are created. The trade templates define groups of orders for financial instruments that may be combined such that all of the orders are matched. New orders and resting orders are analyzed using one or more trade templates to determine whether a combination of orders satisfies all of the elements of a trade template. When all of the elements of a trade template are satisfied, the corresponding orders may be matched contemporaneously.

Claims

1. A method of matching orders for financial instruments, the method comprising:

(a) generating a collection of acceptable trade templates that are each based on more than one order;

(b) generating a collection of needed orders that each when combined with one or more existing orders meet the requirements of one of the acceptable trade templates;

(c) receiving an new order;

(d) comparing the new order to the needed orders in the collection of needed orders; and

(e) when the new order matches one of the needed orders executing a trade between the new order and an order corresponding to the needed order.

2. The method of claim 1, wherein the collection of needed orders is stored in a processor memory.

3. The method of claim 1, wherein at least one of the trade templates include at least one spread product.

4. The method of claim 3, wherein the spread product comprises an implied spread product.

5. The method of claim 3, wherein the spread product comprises a butterfly spread product.

6. The method of claim 3, wherein the spread product comprises a crack spread product.

7. The method of claim 1, wherein one of the acceptable trade templates includes at least two spread products.

8. The method of claim 1, wherein one of the acceptable trade templates includes at least three spread products.

9. The method of claim 1, wherein comprises using more than one algorithm to generate the collection of acceptable trade templates.

10. The method of claim 1, wherein (d) further includes executing at least two additional trades contemporaneously with the execution of the trade between the new order and one of the needed orders.

11. A system that matches orders for financial instruments, the system comprising:

a collection of acceptable trade templates based on more than one order;

a collection of needed orders that each when combined with one or more existing orders meet the requirements of one of the acceptable trade templates; and

a match engine configured to compare a new order to the needed orders in the collection of needed orders and execute a trade between the new order and an order corresponding to the needed order when the new order matches one of the needed orders.

12. The system of claim 11, wherein the match engine comprises a microprocessor having a memory.

13. The system of claim 12, wherein the collection of needed orders is stored in the microprocessor memory.

14. The system of claim 11, further including at least one order book connected to the match engine.

15. The system of claim 11, further including a collection of acceptable trade templates that are each based on more than one order.

16. The system of claim 15, further including a computer device programmed with computer-executable instructions to analyze orders resting in a plurality of order books and suggest new templates that would result in the matching of groups of orders.

17. A computer-readable medium containing computer-executable instructions for causing a match system to perform the steps comprising:

(a) accessing a collection of acceptable trade templates that are each based on more than one order;

(b) generating a collection of needed orders that each when combined with one or more existing orders meet the requirements of one of the acceptable trade templates;

(c) receiving an new order;

(d) comparing the new order to the needed orders in the collection of needed orders; and

(e) when the new order matches one of the needed orders executing a trade between the new order and an order corresponding to the needed order

18. The computer-readable medium of claim 17, wherein at least one of the trade templates include at least one spread product.

19. The computer-readable medium of claim 18, wherein the spread product comprises an implied spread product.

20. The computer-readable medium of claim 18, wherein the at least one spread product comprises a butterfly spread product.